Published on 9/6/2018 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2.07 million callable barrier floating-rate range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Sept. 6 – Citigroup Global Markets Holdings Inc. priced $2.07 million of callable barrier fixed-to-floating rate range accrual securities due Aug. 31, 2028 linked to the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Tnterest will accrue at the 10-year Constant Maturity Swap rate plus 400 basis points for each day that each index closes at or above its 60% accrual barrier level. Interest will be payable monthly and cannot be less than zero.
The notes will be callable at par on any coupon payment date after one year.
The payout at maturity will be par unless any index finishes below the 60% barrier level, in which case investors will share fully in the losses of the worst performing index.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Callable barrier floating-rate range accrual securities
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $2,073,000
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| Maturity: | Aug. 31, 2028
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| Coupon: | 10-year CMS rate plus 400 bps for each day that each index closes at or above its accrual barrier level; payable monthly
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| Price: | Par
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| Payout at maturity: | Par if each index finishes at or above barrier level; otherwise, full exposure to losses of worst performing index
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| Call option: | At par on any coupon payment date after one year
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| Initial levels: | 2,897.52 for S&P, 1,728.422 for Russell, 3,447.57 for Stoxx
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| Accrual barrier levels: | 1,738.512 for S&P, 1,037.053 for Russell, 2,068.542 for Stoxx; 60% of initial levels
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| Barrier levels: | 1,738.512 for S&P, 1,037.053 for Russell, 2,068.542 for Stoxx; 60% of initial levels
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| Pricing date: | Aug. 13
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| Settlement date: | Aug. 15
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.5%
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| Cusip: | 17324CZA7
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